Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0045
Annualized Std Dev 0.3685
Annualized Sharpe (Rf=0%) -0.0121

Row

Daily Return Statistics

Close
Observations 3874.0000
NAs 1.0000
Minimum -0.2444
Quartile 1 -0.0110
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0000
Quartile 3 0.0123
Maximum 0.1872
SE Mean 0.0004
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0232
Skewness -0.2584
Kurtosis 9.2554

Downside Risk

Close
Semi Deviation 0.0167
Gain Deviation 0.0161
Loss Deviation 0.0175
Downside Deviation (MAR=210%) 0.0211
Downside Deviation (Rf=0%) 0.0166
Downside Deviation (0%) 0.0166
Maximum Drawdown 0.8634
Historical VaR (95%) -0.0353
Historical ES (95%) -0.0548
Modified VaR (95%) -0.0353
Modified ES (95%) -0.0610
From Trough To Depth Length To Trough Recovery
2014-06-24 2020-03-23 NA -0.8634 1698 1447 NA
2008-06-19 2009-03-02 2013-03-08 -0.6831 1188 176 1012
2006-04-24 2006-06-13 2006-07-31 -0.2022 69 36 33
2007-12-27 2008-01-23 2008-04-09 -0.1786 71 18 53
2006-08-10 2006-10-03 2006-12-14 -0.1697 89 38 51

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA -0.1 3.1 0 3.1
2006 -2 1 -1.7 1.2 0.9 0.8 0.5 1.3 0.5 -0.8 0.2 -0.7 1
2007 1 0.2 -1.3 0.7 0.9 0.3 -0.2 1.5 1.6 -2.1 0.6 -1.2 2
2008 1.8 -3.2 1.2 -2.1 2.3 1 -0.2 -0.9 -3.1 1.8 -10.5 2.8 -9.6
2009 -2.3 -2.8 2 4.1 3.6 0.6 0.4 -1.7 -3.7 -4 1.6 -1.3 -3.9
2010 3.3 1.4 2.9 -0.5 -4.3 -1 0 3.3 0.9 0.3 2.4 0 8.7
2011 2 -1.6 0.6 1.8 -2.7 1.5 0.4 -1 -3.4 -2.9 -0.2 0 -5.6
2012 1.1 1.8 0.3 1.5 -3.3 3.4 0.4 1.1 1.3 0.2 0.3 2.7 11.2
2013 1.5 1 -1.3 -2.4 -1.4 -0.1 1.6 -0.8 1 -1.1 -0.1 1.1 -1.1
2014 -0.5 0.1 1.3 -0.4 -0.6 0 -1.5 1.3 -1.8 2.3 -0.8 -0.1 -0.8
2015 2.2 -0.6 0.9 0.9 -1 -1.2 -1 -4.2 2.1 1.6 1 1.5 2
2016 -2.2 1.1 -1.8 -1.4 1.5 1.4 -3.2 -0.8 2 -0.9 0.5 -0.6 -4.5
2017 -0.8 2.6 1.1 -0.3 1.1 0.2 -0.1 2.2 -0.2 2.5 0.3 -0.5 8.5
2018 -0.2 0.3 2.9 -0.6 0.8 0.5 -1.8 -0.4 0.8 1.3 -0.5 0.7 3.8
2019 0.1 2.2 1 -2.7 -2 0.1 -4.8 -1.7 -3.1 3.3 -2.3 1.6 -8.4
2020 -2.2 4.2 -5.5 -8 2.7 -2.7 0.4 -1.1 -3.6 -0.7 -0.3 -1.2 -17
2021 2.6 1.9 3.2 NA NA NA NA NA NA NA NA NA 7.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart